correlation 蒙特卡洛_蒙特卡洛模拟法及其Matlab案例

%run.mExpReturn = [0.0246 0.0189 0.0273 0.0141 0.0311]/100; %期望收益Sigmas = [0.9509 1.4259, 1.5227, 1.1062, 1.0877]/100;%标准差Correlations = [1.0000 0.4403 0.4735 0.4334 0.6855                0.4403 1.0000 0.7597 0.7809 0.4343                0.4735 0.7597 1.0000 0.6978 0.4926                0.4334 0.7809 0.6978 1.0000 0.4289                0.6855 0.4343 0.4926 0.4289 1.0000];%相关系数ExpCov = corr2cov(Sigmas, Correlations);%协方差StartPrice = 100;%初始价格NumObs = 504;NumSim = 2;RetIntervals = 1;NumAssets = 5;%开始模拟randn('state', 0);RetExact = portsim(ExpReturn, ExpCov, NumObs, RetIntervals, NumSim);Weights = ones(NumAssets, 1)/ NumAssets;PortRetExact = zeros(NumObs, NumSim);for i = 1:NumSim    PortRetExact(:, i) = RetExact(:,:,i)*Weights;endPortExact = ret2tick(PortRetExact, repmat(StartPrice, 1, NumSim));plot(PortExact, '-r');